I am gonna come a bit left-field with some of my personal favourite horror movie characters here but here goes:
1) Bill Paxton's vampire Severen in probably the best vampire film ever made, Near Dark, and completely steals the movie from the likes of Lance Henriksen and Jenette GolRABtein, who are also brilliant in Near Dark but Paxton's character is just pure savage evil.
2) Joe Pilato's character Captain Rhodes in Day Of The Dead. He is the most horrific and inhumane character in that entire film, more so than the walking dead who tear and rip their way through his scumbag platoon of ragtag psychotic soldiers.
3) Eihi Shiina in the Takashi Miike film Audition scares the hell out of me. If you haven't seen Audition yet, i urge you to do so.
4) Dennis Hopper as Frank Booth in Blue Velvet. It may not be an archetypal horror movie but he is a frightening enough character to put that film in the horror movie category.